Applications of mean field games in financial engineering and economic theory

Research output: Chapter in Book/Report/Conference proceedingConference contribution

3 Scopus citations

Abstract

This is an expanded version of the lecture given at the AMS Short Course on Mean Field Games, on January 13, 2020 in Denver CO. The assignment was to discuss applications of Mean Field Games in finance and economics. I need to admit upfront that several of the examples reviewed in this chapter were already discussed in book form. Still, they are here accompanied with discussions of, and references to, works which appeared over the last three years. Moreover, several completely new sections are added to show how recent developments in financial engineering and economics can benefit from being viewed through the lens of the Mean Field Game paradigm. The new financial engineering applications deal with bitcoin mining and the energy markets, while the new economic applications concern models offering a smooth transition between macro-economics and finance, and contract theory.

Original languageEnglish (US)
Title of host publicationMean Field Games
Subtitle of host publicationAgent Based Models to Nash Equilibria
EditorsFrançois Delarue
PublisherAmerican Mathematical Society
Pages165-218
Number of pages54
ISBN (Print)9781470455866
DOIs
StatePublished - 2021
EventMean Field Games on Agent Based Models to Nash Equilibria, AMS 2020 - Denver, United States
Duration: Jan 13 2020Jan 14 2020

Publication series

NameProceedings of Symposia in Applied Mathematics
Volume78
ISSN (Print)0160-7634
ISSN (Electronic)2324-7088

Conference

ConferenceMean Field Games on Agent Based Models to Nash Equilibria, AMS 2020
Country/TerritoryUnited States
CityDenver
Period1/13/201/14/20

All Science Journal Classification (ASJC) codes

  • Applied Mathematics

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